Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0752 |
| Annualized Std Dev | 0.3393 |
| Annualized Sharpe (Rf=0%) | 0.2215 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5242.0000 |
| NAs | 1.0000 |
| Minimum | -0.1648 |
| Quartile 1 | -0.0095 |
| Median | 0.0009 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0110 |
| Maximum | 0.2242 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0011 |
| Variance | 0.0005 |
| Stdev | 0.0214 |
| Skewness | 0.3635 |
| Kurtosis | 11.7444 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0151 |
| Gain Deviation | 0.0157 |
| Loss Deviation | 0.0157 |
| Downside Deviation (MAR=210%) | 0.0194 |
| Downside Deviation (Rf=0%) | 0.0148 |
| Downside Deviation (0%) | 0.0148 |
| Maximum Drawdown | 0.7459 |
| Historical VaR (95%) | -0.0318 |
| Historical ES (95%) | -0.0495 |
| Modified VaR (95%) | -0.0273 |
| Modified ES (95%) | -0.0273 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-11-01 | 2008-11-20 | 2017-10-31 | -0.7459 | 2518 | 267 | 2251 |
| 2000-06-12 | 2001-09-20 | 2002-03-14 | -0.5114 | 436 | 317 | 119 |
| 2018-01-29 | 2020-03-23 | 2020-12-02 | -0.5070 | 718 | 541 | 177 |
| 2002-04-24 | 2003-03-31 | 2003-10-13 | -0.3819 | 372 | 236 | 136 |
| 2004-04-13 | 2004-08-03 | 2005-01-18 | -0.2795 | 194 | 78 | 116 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2000 | NA | NA | NA | NA | -0.3 | 0.3 | 1.7 | 0.3 | -0.8 | 4.6 | 1.5 | -0.5 | 6.9 |
| 2001 | -0.9 | 1.7 | -0.4 | 1.9 | -1.7 | -2.5 | 5.6 | -2.5 | 0.5 | 5.5 | 2.3 | 2 | 11.7 |
| 2002 | -1.1 | 2.4 | -1.7 | -0.4 | -1.4 | -2.1 | -1.4 | 2.1 | 5.3 | -1.6 | -0.5 | -0.2 | -0.9 |
| 2003 | 1.6 | -2 | 1.6 | 0.1 | 0.9 | 1.1 | 2 | 1.5 | 4.4 | -0.4 | 4.9 | 0.4 | 16.9 |
| 2004 | -0.4 | 1.1 | 1.4 | -0.7 | 0 | -2.8 | -0.5 | 2.1 | 3.1 | 0 | 1.6 | 0.9 | 5.5 |
| 2005 | -0.2 | 0.8 | 1.2 | 1.5 | 0.9 | 1.2 | 1.3 | 2.3 | -0.6 | 1.9 | 2.6 | -0.2 | 13.5 |
| 2006 | -1.5 | 1.8 | 1.9 | 0.6 | 1.1 | 1.3 | -2.5 | 1.4 | -2.5 | -0.3 | 0 | 0 | 1.2 |
| 2007 | 2.6 | -1.8 | -0.6 | 0.8 | 2 | -0.2 | -2.4 | 2.7 | 4.1 | -4.6 | 1.4 | -0.9 | 2.9 |
| 2008 | 1.6 | -3.8 | 4.3 | 1.4 | 1.3 | -0.9 | -1 | -2 | -1.7 | -5.1 | -8.9 | 1 | -13.6 |
| 2009 | -0.8 | -1.8 | 4.5 | 1.5 | 3.6 | 3.2 | 1.1 | 0.6 | -4.2 | -4.6 | 2.7 | 0 | 5.5 |
| 2010 | 2.4 | 1.5 | 3.2 | -1 | -1.2 | 0.4 | 0.1 | 3.9 | 1.8 | 1.8 | 3.1 | 0.6 | 17.7 |
| 2011 | 3.1 | -1.5 | 2.2 | 0.9 | -1.6 | 1.6 | 0.3 | -1.2 | -4.1 | -1.6 | -0.1 | 0.1 | -2 |
| 2012 | 1.5 | 0.7 | 0.5 | 0.6 | -2.3 | 4.6 | 0.5 | 0.8 | 0.9 | 0.9 | -0.1 | 1.8 | 10.9 |
| 2013 | -0.1 | 0.4 | -1 | -1 | -1.2 | 1.1 | 1.1 | 0.3 | 1.5 | 0.7 | 1.2 | 1.2 | 4.1 |
| 2014 | 0.2 | -0.5 | 1.3 | 0.5 | -1.3 | 0.8 | 0.8 | -0.4 | -2.6 | -1.2 | -0.8 | 0.1 | -3.2 |
| 2015 | -2.2 | -0.3 | 0.3 | 0 | -1 | 1.1 | 0.6 | -2.1 | 1.6 | 1 | 1.7 | -0.8 | -0.1 |
| 2016 | -0.3 | 2.8 | -1.4 | -1.1 | 0.4 | 1.5 | 0.7 | 0.5 | 0.6 | -0.8 | 0.4 | -0.6 | 2.4 |
| 2017 | 0 | 0.7 | -0.5 | 0.6 | 0 | 0.7 | 0.8 | 0.3 | 1.5 | 2 | -0.1 | 0.2 | 6.3 |
| 2018 | -1.4 | -0.5 | 2.2 | -0.5 | 1.9 | 1.2 | -0.7 | 0.8 | -0.5 | 2.1 | -1 | -0.5 | 3.1 |
| 2019 | -1.1 | 0.1 | 2 | -0.8 | 0 | -0.4 | -1.3 | 1 | -0.5 | 2 | -2.3 | 0.5 | -0.9 |
| 2020 | -2.9 | 0.1 | -6.9 | -3.4 | 2.6 | 0.6 | -1 | 1.4 | 1 | -2.2 | 1.9 | -0.1 | -8.9 |
| 2021 | 4.1 | 2.7 | 1.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 8.4 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
